Modeling the asymmetric in conditional variance

• Main Authors: Agboluaje, Ayodele Abraham, Ismail, Suzilah, Yip, Chee Yin
• Format: Article
• Language: English
• Published: Science Alert 2016
• Subjects: QA Mathematics
• Online Access: http://repo.uum.edu.my/21521/1/AJSR%20%209%202%20%202016%20%2039-44.pdf; http://repo.uum.edu.my/21521/; http://doi.org/10.3923/ajsr.2016.39.44
• Institution: Universiti Utara Malaysia

The purpose of this study is to model the asymmetric in conditional variance of Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) with Combine White Noise (CWN) model to obtain suitable results. Combine white noise has the minimum information criteria and high log likel...